Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0703 |
| Annualized Std Dev | 0.2159 |
| Annualized Sharpe (Rf=0%) | 0.3254 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4199.0000 |
| NAs | 1.0000 |
| Minimum | -0.1102 |
| Quartile 1 | -0.0049 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1200 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0136 |
| Skewness | -0.4425 |
| Kurtosis | 11.2604 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.6648 |
| Historical VaR (95%) | -0.0193 |
| Historical ES (95%) | -0.0339 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0387 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-04-29 | -0.6648 | 1480 | 444 | 1036 |
| 2020-01-21 | 2020-03-23 | 2021-02-16 | -0.4633 | 271 | 44 | 227 |
| 2018-01-29 | 2018-12-24 | 2019-12-31 | -0.2147 | 485 | 229 | 256 |
| 2015-05-22 | 2016-01-25 | 2016-06-07 | -0.1791 | 263 | 170 | 93 |
| 2014-09-02 | 2014-10-15 | 2014-12-23 | -0.0982 | 80 | 32 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | 0 | 0.3 | 1.1 | 0.5 | 1 | 0.1 | 3.1 |
| 2005 | 0.8 | 0.7 | -0.3 | 1.2 | 0.4 | 0.5 | -0.1 | 0.6 | 0.4 | 0.5 | 1.3 | -0.4 | 5.7 |
| 2006 | 0 | 0.7 | -0.1 | -0.1 | 0.8 | 0.1 | -0.5 | 0.3 | -0.5 | -0.6 | 0 | -0.6 | -0.5 |
| 2007 | 0.9 | -0.1 | 0 | 0.2 | 0.5 | -0.9 | 0.4 | 1.2 | 1.4 | -2.6 | 1 | -0.6 | 1.4 |
| 2008 | 2.1 | -3.1 | 3.9 | 2.3 | -0.1 | 0.2 | -0.3 | -0.3 | 0.7 | 2.6 | -9.4 | 2.5 | 0.5 |
| 2009 | -3.9 | -2.3 | 2.6 | 0.2 | 3.9 | 1.1 | 0.1 | -2.8 | -3.3 | -3.7 | 1.6 | -1.3 | -7.8 |
| 2010 | 1.4 | 1.3 | 0.9 | -1.5 | -2.7 | -1 | 0.3 | 3.1 | 0.2 | -0.2 | 1.9 | 0 | 3.6 |
| 2011 | 1.8 | -1.6 | 0.7 | -0.2 | -1.8 | 1.4 | -0.6 | -1.3 | -1.7 | -3.3 | 0.3 | -0.1 | -6.2 |
| 2012 | 1.8 | 0.4 | 0.6 | 0.5 | -2.6 | 3.5 | -0.4 | 0.6 | 0 | 1.5 | 0.2 | 1.7 | 8 |
| 2013 | 0.7 | 0.2 | -1 | -0.4 | -1.2 | 1.2 | 1.8 | -0.6 | 1 | 0.3 | -0.3 | 0.5 | 2.3 |
| 2014 | -0.5 | 0.3 | 0.7 | 0 | 0.2 | 0.5 | -0.2 | 0.4 | -1 | 1.1 | -1 | -1.3 | -0.7 |
| 2015 | -1.3 | 0 | -0.4 | 1 | 0 | 0.5 | 0.1 | -3 | -0.4 | 0 | 0.6 | -0.5 | -3.3 |
| 2016 | 0.8 | 1.2 | 0 | -0.3 | 0.3 | 0.6 | -1 | -0.6 | 0.7 | -1.1 | -0.1 | -0.3 | 0.1 |
| 2017 | 0.1 | 1.4 | 0 | 0 | 1.1 | 0.3 | 0.1 | 0.8 | 0.1 | 0.1 | 0 | -0.5 | 3.6 |
| 2018 | -0.2 | -0.6 | 1.3 | -0.6 | 0.4 | 0 | -1.1 | 0 | -0.4 | 1.4 | 0.5 | 0.6 | 1.3 |
| 2019 | -0.1 | 0.4 | 1.2 | -0.7 | -0.9 | 0.1 | -1.7 | 0.4 | -1.6 | 1.3 | -0.9 | 0.5 | -1.9 |
| 2020 | -1.6 | -4.3 | -6.1 | -4.1 | 1.6 | -0.8 | -1 | -0.1 | -0.1 | -1.1 | 0.8 | 0.6 | -15.2 |
| 2021 | 0.6 | 2.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-07-02 59.9 SPY 113. -0.0005 -8.40e-3 -0.0022 -0.0079 0.131 -0.0713 -0.153 <NA> NA NA NA
2 2004-07-06 59.7 SPY 112. -0.0088 -1.38e-2 -0.0018 -0.024 0.133 -0.0789 -0.168 <NA> NA NA NA
3 2004-07-07 59.8 SPY 112. 0.00290 -1.49e-2 -0.0067 -0.0265 0.114 -0.0813 -0.181 <NA> NA NA NA
4 2004-07-08 59.6 SPY 111. -0.0071 -2.72e-2 -0.0286 -0.0303 0.102 -0.0912 -0.193 <NA> NA NA NA
5 2004-07-09 59.2 SPY 112. 0.0028 -1.07e-2 -0.0273 -0.0253 0.111 -0.0999 -0.198 <NA> NA NA NA
6 2004-07-13 59.5 SPY 112. 0.0007 -3.00e-4 -0.0218 -0.0258 0.116 -0.0807 -0.198 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
